I ran the script which does generate a new DB(CHANGELOG),I updated the xml config file(with applications closed) per the article.File:RedGate_SQLSourceControl_Engine_EngineOptions.xml is saved with the new info,however this file is always overridden with the orig info and the table RG_AllObjects is never generated in the new CHANGELOG database...
SQL SERVER 2008 R2

In case anyone else stumbles across this- we established that if the config file is invalid, then it'll get replaced with the 'last good' copy at startup. The web-page documenting the change looks to currently have an error in the comment-block of the XML so copying it exactly will lead to this problem.